Whether you get a USRP or not, the Ettus Research bootable image has GNU Radio already installed and configured, as well as a bunch of other useful radio tools:
http://files.ettus.com/liveusb/latest/
They've also got some good tutorials on using GNU Radio Companion.
I'd recommend an RTLSDR, USRP, or HackRF. All good, all different price range, and all have a good community and support around them. If you're interested in a particular band, you may want to get an antenna for that band as well. Ettus Research sells some antennas, or you can buy one from an amateur radio store, or build one for very cheap from the dozens of plans out there by ham radio operators.
They've also got some good tutorials on using GNU Radio Companion.
I'd recommend an RTLSDR, USRP, or HackRF. All good, all different price range, and all have a good community and support around them. If you're interested in a particular band, you may want to get an antenna for that band as well. Ettus Research sells some antennas, or you can buy one from an amateur radio store, or build one for very cheap from the dozens of plans out there by ham radio operators.